Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KT&G backtest
10 trend-following strategies were compared on the full daily history of KT&G. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -53.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -42.9%, Sharpe 0.35, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=38, exitN=60 |
5.5% | -42.9% | 0.35 | 0.13 | 4.1x | 53 | 68% |
| SMA 크로스오버 fast=19, slow=210 |
5.1% | -59.0% | 0.34 | 0.09 | 3.8x | 51 | 60% |
| EMA 크로스오버 fast=43, slow=165 |
4.1% | -61.6% | 0.29 | 0.07 | 2.9x | 47 | 59% |
| ROC 모멘텀 n=110, threshold=-0.09 |
3.6% | -66.0% | 0.27 | 0.05 | 2.5x | 167 | 83% |
| Supertrend period=30, mult=5 |
2.1% | -59.5% | 0.21 | 0.04 | 1.8x | 61 | 59% |
| 볼린저 밴드 돌파 n=62, k=3.5 |
0.8% | -17.3% | 0.13 | 0.04 | 1.2x | 26 | 12% |
| ADX / DI 방향성 period=50, threshold=11 |
0.4% | -60.4% | 0.11 | 0.01 | 1.1x | 133 | 40% |
| MACD fast=31, slow=46, signal=21 |
-0.8% | -62.9% | 0.05 | -0.01 | 0.8x | 221 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.2% | -63.6% | 0.04 | -0.02 | 0.7x | 199 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=1.6 |
-2.6% | -71.2% | -0.06 | -0.04 | 0.5x | 156 | 40% |
| Buy and hold | 8.2% | -53.6% | 0.42 | 0.15 | 8.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 38 days
- Sell — Sell when price breaks below the lowest low of the last 60 days